search

Crypto-toolbox / HFT-Orderbook

Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
MIT License
1.02k stars 258 forks source link

Implement HashMap for Order/Limit referencing #3

Closed deepbrook closed 6 years ago

deepbrook commented 7 years ago

As per WK Selph

Each order is also an entry in a map keyed off idNumber, and each Limit is also an entry in a map keyed off limitPrice.

It is therefore necessary to implement this for the C implementation.

deepbrook commented 6 years ago

We'll use uthash.h for this - it's not the fastest implementation, but it gets the job done for now. If anyone wants to suggest another library, please go ahead :)

deepbrook commented 6 years ago

Update: Moved khash.h implementation, part of the klib project.